The Usage of Time Series Control Charts for Financial Process Analysis

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F70883521%3A28120%2F12%3A43868211" target="_blank" >RIV/70883521:28120/12:43868211 - isvavai.cz</a>

Výsledek na webu

<a href="http://dx.doi.org/10.7441/joc.2012.03.03" target="_blank" >http://dx.doi.org/10.7441/joc.2012.03.03</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.7441/joc.2012.03.03" target="_blank" >10.7441/joc.2012.03.03</a>

Jazyk výsledku

angličtina

Název v původním jazyce

The Usage of Time Series Control Charts for Financial Process Analysis

Popis výsledku v původním jazyce

We will deal with financial proceedings of the company using methods of SPC (Statistical Process Control), specifically through time series control charts. The paper will outline the intersection of two disciplines which are econometrics and statisticalprocess control. The theoretical part will discuss the methodology of time series control charts and in the research part there will be this methodology demonstrated in three case studies. The first study will focus on the regulation of simulated financial flows for a company by CUSUM control chart. The second study will involve the regulation of financial flows for a heteroskedastic financial process by EWMA control chart. The last case study of our paper will be devoted to applications of ARIMA, EWMAand CUSUM control charts in the financial data that are sensitive to the mean shifting while calculating the autocorrelation in the data. In this paper, we highlight the versatility of control charts not only in manufacturing but also in

Název v anglickém jazyce

The Usage of Time Series Control Charts for Financial Process Analysis

Popis výsledku anglicky

We will deal with financial proceedings of the company using methods of SPC (Statistical Process Control), specifically through time series control charts. The paper will outline the intersection of two disciplines which are econometrics and statisticalprocess control. The theoretical part will discuss the methodology of time series control charts and in the research part there will be this methodology demonstrated in three case studies. The first study will focus on the regulation of simulated financial flows for a company by CUSUM control chart. The second study will involve the regulation of financial flows for a heteroskedastic financial process by EWMA control chart. The last case study of our paper will be devoted to applications of ARIMA, EWMAand CUSUM control charts in the financial data that are sensitive to the mean shifting while calculating the autocorrelation in the data. In this paper, we highlight the versatility of control charts not only in manufacturing but also in

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AE - Řízení, správa a administrativa

OECD FORD obor

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Projekt

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Návaznosti

V - Vyzkumna aktivita podporovana z jinych verejnych zdroju

Rok uplatnění

2012

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Journal of Competitiveness

ISSN

1804-1728

e-ISSN

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Svazek periodika

2012

Číslo periodika v rámci svazku

3

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

17

Strana od-do

29-45

Kód UT WoS článku

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EID výsledku v databázi Scopus

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